INTERNATIONAL FINANCE | |||||
Bachelor | TR-NQF-HE: Level 6 | QF-EHEA: First Cycle | EQF-LLL: Level 6 |
Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
IF3211 | Financial Econometrics and Quantitative Analysis | Fall | 3 | 0 | 3 | 6 |
Language of instruction: | English |
Type of course: | Must Course |
Course Level: | Bachelor’s Degree (First Cycle) |
Mode of Delivery: | Face to face |
Course Coordinator : | Dr. Öğr. Üyesi BAHAR KÖSEOĞLU |
Recommended Optional Program Components: | None |
Course Objectives: | FINANCIAL ECONOMETRICS AND QUANTITAVE ANALYSIS is a course in introductory econometrics, designed to provide you with the theoretical tools and practical experience necessary to do applied financial research. |
The students who have succeeded in this course; 1. Distinguish between different types of data, define and compute measures of financial returns 2. Construct a workfile, import data and accomplish simple tasks in EViews 3. Derive the OLS formulae for estimating parameters and their standard errors 4. Explain the desirable properties that a good estimator should have 5. Estimate regression models and test single hypotheses in EViews 6. Construct models with more than one explanatory variable, test multiple hypotheses using an F-test, determine how well a model fits the data 7. Estimate multiple regression models and test multiple hypotheses in EViews 8. Learn to detect and remedy multicollinearity. Describe the steps involved in testing and remedying for heteroscedasticity and autocorrelation |
Types of data, EViews, OLS, regression models |
Week | Subject | Related Preparation |
1) | Types of data, returns in financial modelling | 3 |
2) | Simple regression | 3 |
3) | Simple linear regression | 3 |
4) | simple linear regression in EViews | 3 |
5) | The assumptions underlying the classical linear regression model. | 3 |
6) | The properties of the OLS estimator | 3 |
7) | Precision and standard errors, an introduction to statistical inference | 3 |
8) | Generalising the simple model to multiple linear regression | 3 |
9) | Multiple linear regression models in Eviews and the F test and goodness of fit statistics. | 3 |
10) | Multicollinearity | 3 |
11) | Heteroscedasticity | 3 |
12) | Autocorrelation | 3 |
13) | Moving average process Autoregressive process ARMA process | 3 |
14) | Course review |
Course Notes / Textbooks: | Introductory Econometrics for Finance,2 nd. Ed., Chris Brooks, Cambridge University Press |
References: | Mevcut değil |
Semester Requirements | Number of Activities | Level of Contribution |
Homework Assignments | 1 | % 15 |
Midterms | 1 | % 35 |
Final | 1 | % 50 |
Total | % 100 | |
PERCENTAGE OF SEMESTER WORK | % 50 | |
PERCENTAGE OF FINAL WORK | % 50 | |
Total | % 100 |
Activities | Number of Activities | Duration (Hours) | Workload |
Course Hours | 14 | 3 | 42 |
Study Hours Out of Class | 14 | 2 | 28 |
Homework Assignments | 1 | 10 | 10 |
Midterms | 1 | 25 | 25 |
Final | 1 | 35 | 35 |
Total Workload | 140 |
No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
Program Outcomes | Level of Contribution | |
1) | To correctly identify the problems and to be able to ask the correct questions | 3 |
2) | To have the ability for problem solving and to utilize analytical approach in dealing with the problems of finance | 5 |
3) | To understand and grasp the full details of theoretical arguments and counter arguments | 4 |
4) | To be fully prepared for a graduate study in finance and to have lifelong learning awareness | 5 |
5) | To be able to apply theoretical principles of finance to the realities of practical business life | 4 |
6) | To develop solutions for managerial problems by understanding the requirements of international financial markets | 2 |
7) | To think innovatively and creatively in complex situations | 3 |
8) | To be able to make decisions both locally and internationally by knowing the effects of globalization on business and social life | 1 |
9) | To have the competencies of the digital age and to use the necessary financial applications | 4 |
10) | To be able to use at least one foreign language both for communication and academic purposes | 4 |
11) | To understand the importance of business ethics and to take decisions by knowing the legal and ethical consequences of their activities in the academic world and business life | 1 |
12) | To develop an objective criticism in business and academic life and having a perspective to self-criticize | 2 |